Testing for persistence in stock returns with GARCH-stable shocks
DOI10.1088/1469-7688/4/3/002zbMATH Open1409.62208OpenAlexW3124195886MaRDI QIDQ4610232FDOQ4610232
Authors: Prasad V. Bidarkota, J. Huston McCulloch 
Publication date: 15 January 2019
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1088/1469-7688/4/3/002
Recommendations
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84)
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Cited In (5)
- Asset pricing with incomplete information and fat tails
- Stability Testing of Stock Returns Connections
- Permanent shocks, signal extraction, and portfolio selection
- A characteristic function-based approach to approximate maximum likelihood estimation
- A STATISTICAL TEST OF VOLATILITY PERSISTENCE IN GARCH MODELS AND APPLICATION TO STOCK EXCHANGE
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